Question
Consider an option on a non-dividend-paying stock when the stock price is $40, the strike price of $38, the risk-free interest rate is 10% per
Consider an option on a non-dividend-paying stock when the stock price is $40, the strike price of $38, the risk-free interest rate is 10% per annum, the volatility is 35% per annum, and the time to maturity is three months.
- What is the price of the option if it is a European call?
- What is the price of the option if it is a European put?
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Fundamentals of Investment Management
Authors: Geoffrey Hirt, Stanley Block
10th edition
0078034620, 978-0078034626
